The Harrison-Pliska arbitrage pricing theorem under transaction costs

Journal of Mathematical Economics

Volumn 35, Issue 2, 2001, Pages 185-196

  Kabanov, Yu M ^a,b   Stricker, Ch ^a  

^a UNIVERSITÉ DE FRANCHE COMTÉ   (France)

^b CENTRAL ECONOMICS AND MATHEMATICS INSTITUTE   (Russian Federation)

Author keywords

60G44; Arbitrage; Contingent claim; Financial market; G11; G13; Hedging; Polyhedral cones; Transaction cost

Indexed keywords

EID: 0010506674     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4068(00)00064-1     Document Type: Article

References (14)

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